Equity securities are
among the most important investment instruments in terms of investors. For this
reason, estimates of stock price movements concern closely both investors and
researchers working in the field of finance. Until now, many empirical studies
have been conducted on the factors affecting stocks in the literature for
country and country groups but there are very few studies about Kazakhstan
equity market. The reason is that Kazakhstan
stock exchange (KASE) is a new stock exchange and on the other hand it is a
newly emerging small stock exchange.

In this study, the
relationship between the five macroeconomic variables and the KASE stock market
index was tried to be explained.The Method of Least Squares in order to determine
the statistical significance of the variables, Johansen cointegration test to
investigate the existence of a long-run relationship between variables, error
correction model for explaining the causality between variables and Granger causality analysis was used.